| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 42.63% | 42.97% |
| CAGR﹪ | 98.53% | 99.43% |
| Sharpe | 2.46 | 1.7 |
| Prob. Sharpe Ratio | 85.28% | 71.03% |
| Smart Sharpe | 2.34 | 1.62 |
| Sortino | 3.7 | 2.71 |
| Smart Sortino | 3.52 | 2.58 |
| Sortino/√2 | 2.62 | 1.92 |
| Smart Sortino/√2 | 2.49 | 1.83 |
| Omega | 1.58 | 1.58 |
| Max Drawdown | -12.2% | -14.76% |
| Longest DD Days | 76 | 117 |
| Volatility (ann.) | 26.72% | 41.94% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 8.08 | 6.74 |
| Skew | -0.88 | 1.22 |
| Kurtosis | 7.11 | 22.98 |
| Expected Daily | 0.27% | 0.28% |
| Expected Monthly | 4.54% | 4.57% |
| Expected Yearly | 19.43% | 19.57% |
| Kelly Criterion | 21.46% | 26.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.48% | -4.04% |
| Expected Shortfall (cVaR) | -2.48% | -4.04% |
| Max Consecutive Wins | 4 | 8 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.66 | 0.58 |
| Gain/Pain (1M) | 7.11 | 7.72 |
| Payoff Ratio | 1.22 | 1.38 |
| Profit Factor | 1.66 | 1.58 |
| Common Sense Ratio | 2.47 | 1.94 |
| CPC Index | 1.15 | 1.26 |
| Tail Ratio | 1.49 | 1.23 |
| Outlier Win Ratio | 4.56 | 3.82 |
| Outlier Loss Ratio | 5.71 | 4.85 |
| MTD | -5.28% | -5.48% |
| 3M | 17.48% | 17.68% |
| 6M | 41.11% | 42.34% |
| YTD | 9.92% | 10.17% |
| 1Y | 42.63% | 42.97% |
| 3Y (ann.) | 98.53% | 99.43% |
| 5Y (ann.) | 98.53% | 99.43% |
| 10Y (ann.) | 98.53% | 99.43% |
| All-time (ann.) | 98.53% | 99.43% |
| Best Day | 5.23% | 18.48% |
| Worst Day | -8.94% | -12.81% |
| Best Month | 16.05% | 16.56% |
| Worst Month | -5.28% | -5.48% |
| Best Year | 29.76% | 29.77% |
| Worst Year | 9.92% | 10.17% |
| Avg. Drawdown | -2.09% | -3.33% |
| Avg. Drawdown Days | 8 | 15 |
| Recovery Factor | 3.49 | 2.91 |
| Ulcer Index | 0.04 | 0.07 |
| Serenity Index | 1.81 | 1.14 |
| Avg. Up Month | 8.62% | 8.85% |
| Avg. Down Month | -2.84% | -2.95% |
| Win Days | 56.91% | 57.36% |
| Win Month | 75.0% | 62.5% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.38 | - |
| Alpha | 0.43 | - |
| Correlation | 59.97% | - |
| Treynor Ratio | 93.26% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2025 | 29.77 | 29.76 | 1.00 | - |
| 2026 | 10.17 | 9.92 | 0.97 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-02-04 | -12.20 | 6 |
| 2025-10-21 | 2026-01-05 | -10.72 | 76 |
| 2025-09-12 | 2025-09-22 | -1.95 | 10 |
| 2026-01-13 | 2026-01-20 | -1.93 | 7 |
| 2025-08-11 | 2025-08-22 | -1.54 | 11 |
| 2025-09-30 | 2025-10-03 | -1.49 | 3 |
| 2025-09-24 | 2025-09-29 | -1.24 | 5 |
| 2026-01-21 | 2026-01-22 | -1.19 | 1 |
| 2026-01-08 | 2026-01-12 | -0.73 | 4 |
| 2025-08-25 | 2025-08-27 | -0.67 | 2 |